Time Variation in Cash Flows and Discount Rates
基于Campbell-Shiller方法的扩展，分析了市场收益条件方差中现金流和贴现率新闻的相对重要性随时间变化，发现其成分在预测未来市场收益和已实现方差方面优于多个基准变量，并在投资组合练习中带来经济收益。
Abstract We analyze the decomposition of the conditional, rather than the unconditional, variance of market returns based on an extension of the standard Campbell–Shiller approach. The relative importance of cash flow and discount rate news in determining the conditional variance of market returns exhibits significant variation over time and relates to economic conditions. The components of the conditional market variance outperform several benchmark variables, including the conditional market variance itself, in forecasting future market returns and realized variance across different horizons. The forecasts based on the conditional market variance components also provide sizable economic benefits compared with benchmark forecasts in an out-of-sample portfolio exercise where a myopic investor allocates her wealth between the market portfolio and a risk-free asset across different holding periods.